A MAXIMUM PRINCIPLE APPROACH TO STOCHASTIC H2/H∞ CONTROL WITH RANDOM JUMPS

被引：2
|
作者：
Zhang, Qixia [1 ]
Sun, Qiliang [1 ]
机构：
[1] Univ Jinan, Sch Math Sci, Jinan 250022, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2015年 / 35卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Nonzero-sum stochastic differential games; maximum principle; Poisson process; stochastic H-2/H-infinity control; forward backward stochastic differential equations; DIFFERENTIAL-EQUATIONS; GAMES;
D O I：
10.1016/S0252-9602(15)60006-6
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
A necessary maximum principle is given for nonzero-sum stochastic differential games with random jumps The result is applied to solve the H-2/H-infinity control problem of stochastic systems with random jumps. A necessary and sufficient condition for the existence of a unique solution to the H-2/H-infinity control problem is derived. The resulting solution is given by the solution of an uncontrolled forward backward stochastic differential equation with random jumps.
引用
收藏
页码：348 / 358
页数：11
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